
LOW HIGH
PI
RE
10
0
AIS
128 Operational Risk Control
Three different risk levels – low, medium, and high – define frequency of
operational risk audit. The computed values taken by QAF vary from 1 to 15, and
they impact on economic capital allocation for operational risk. Altogether,
Citigroup’s qualitative and quantitative effort for operational risk valuation is a
first class solution.
6.5 The choice among methods for operational risk modeling
Theoretically, but only theoretically, the more sophisticated modeling of operational
risk is accompanied by a corresponding reduction in capital charges. The practice will
most likely show otherwise. What is important ...